OvernightCurveAPI.java

package org.drip.service.state;

/*
 * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
 */

/*!
 * Copyright (C) 2020 Lakshmi Krishnamurthy
 * Copyright (C) 2019 Lakshmi Krishnamurthy
 * Copyright (C) 2018 Lakshmi Krishnamurthy
 * Copyright (C) 2017 Lakshmi Krishnamurthy
 * Copyright (C) 2016 Lakshmi Krishnamurthy
 * 
 *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
 *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
 *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
 *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
 *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
 *      and computational support.
 *  
 *      https://lakshmidrip.github.io/DROP/
 *  
 *  DROP is composed of three modules:
 *  
 *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
 *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
 *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
 * 
 *  DROP Product Core implements libraries for the following:
 *  - Fixed Income Analytics
 *  - Loan Analytics
 *  - Transaction Cost Analytics
 * 
 *  DROP Portfolio Core implements libraries for the following:
 *  - Asset Allocation Analytics
 *  - Asset Liability Management Analytics
 *  - Capital Estimation Analytics
 *  - Exposure Analytics
 *  - Margin Analytics
 *  - XVA Analytics
 * 
 *  DROP Computational Core implements libraries for the following:
 *  - Algorithm Support
 *  - Computation Support
 *  - Function Analysis
 *  - Model Validation
 *  - Numerical Analysis
 *  - Numerical Optimizer
 *  - Spline Builder
 *  - Statistical Learning
 * 
 *  Documentation for DROP is Spread Over:
 * 
 *  - Main                     => https://lakshmidrip.github.io/DROP/
 *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
 *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
 *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
 *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
 *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
 *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
 *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
 *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
 *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
 *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
 * 
 *  Licensed under the Apache License, Version 2.0 (the "License");
 *      you may not use this file except in compliance with the License.
 *   
 *  You may obtain a copy of the License at
 *      http://www.apache.org/licenses/LICENSE-2.0
 *  
 *  Unless required by applicable law or agreed to in writing, software
 *      distributed under the License is distributed on an "AS IS" BASIS,
 *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 *  
 *  See the License for the specific language governing permissions and
 *      limitations under the License.
 */

/**
 * <i>OvernightCurveAPI</i> computes the Metrics associated the Overnight Curve State.
 * 
 * <br><br>
 *  <ul>
 *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
 *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationSupportLibrary.md">Computation Support</a></li>
 *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/service/README.md">Environment, Product/Definition Containers, and Scenario/State Manipulation APIs</a></li>
 *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/service/state/README.md">Curve Based State Metric Generator</a></li>
 *  </ul>
 * <br><br>
 *
 * @author Lakshmi Krishnamurthy
 */

public class OvernightCurveAPI {

    /**
     * Generate the Overnight Curve Horizon Metrics for the Specified Date
     * 
     * @param dtSpot The Spot Date
     * @param astrOvernightCurveOISTenor Array of Overnight Curve Fix Float OIS Maturity Tenors
     * @param adblOvernightCurveOISQuote Array of Overnight Curve OIS Rates
     * @param astrInTenor Array of "In" Tenors
     * @param astrForTenor Array of "For" Tenors
     * @param strCurrency Overnight Currency
     * @param iLatentStateType Latent State Type
     * 
     * @return The Overnight Curve Horizon Metrics
     */

    public static final org.drip.historical.state.FundingCurveMetrics DailyMetrics (
        final org.drip.analytics.date.JulianDate dtSpot,
        final java.lang.String[] astrOvernightCurveOISTenor,
        final double[] adblOvernightCurveOISQuote,
        final java.lang.String[] astrInTenor,
        final java.lang.String[] astrForTenor,
        final java.lang.String strCurrency,
        final int iLatentStateType)
    {
        if (null == dtSpot || null == astrOvernightCurveOISTenor || null == adblOvernightCurveOISQuote ||
            null == astrInTenor || null == astrForTenor)
            return null;

        int iNumInTenor = astrInTenor.length;
        int iNumForTenor = astrForTenor.length;
        double[] adblForTenorDCF = new double[iNumForTenor];
        int iNumCalibrationInstrument = astrOvernightCurveOISTenor.length;
        int iNumOISQuote = null == adblOvernightCurveOISQuote ? 0 : adblOvernightCurveOISQuote.length;

        if (0 == iNumCalibrationInstrument || 0 == iNumInTenor || 0 == iNumForTenor || iNumOISQuote !=
            iNumCalibrationInstrument)
            return null;

        for (int i = 0; i < iNumForTenor; ++i) {
            try {
                adblForTenorDCF[i] = org.drip.analytics.support.Helper.TenorToYearFraction (astrForTenor[i]);
            } catch (java.lang.Exception e) {
                e.printStackTrace();

                return null;
            }
        }

        org.drip.state.discount.MergedDiscountForwardCurve dcOvernight =
            org.drip.service.template.LatentMarketStateBuilder.OvernightCurve (dtSpot, strCurrency, null,
                null, "Rate", astrOvernightCurveOISTenor, adblOvernightCurveOISQuote, "SwapRate", null, null,
                    null, "SwapRate", null, null, "SwapRate", iLatentStateType);

        if (null == dcOvernight) return null;

        try {
            org.drip.historical.state.FundingCurveMetrics fcm = new
                org.drip.historical.state.FundingCurveMetrics (dtSpot);

            for (java.lang.String strInTenor : astrInTenor) {
                org.drip.analytics.date.JulianDate dtIn = dtSpot.addTenor (strInTenor);

                for (int j = 0; j < iNumForTenor; ++j) {
                    if (!fcm.addNativeForwardRate (strInTenor, astrForTenor[j], java.lang.Math.pow
                        (dcOvernight.df (dtIn) / dcOvernight.df (dtIn.addTenor (astrForTenor[j])), 1. /
                            adblForTenorDCF[j]) - 1.))
                        return null;
                }
            }

            return fcm;
        } catch (java.lang.Exception e) {
            e.printStackTrace();
        }

        return null;
    }

    /**
     * Generate the Overnight Curve Horizon Metrics For an Array of Closing Dates
     * 
     * @param adtSpot Array of Spot
     * @param astrOvernightCurveOISTenor Array of Overnight Curve Fix Float OIS Maturity Tenors
     * @param aadblOvernightCurveOISQuote Array of Overnight Curve OIS Rates
     * @param astrInTenor Array of "In" Tenors
     * @param astrForTenor Array of "For" Tenors
     * @param strCurrency Overnight Currency
     * @param iLatentStateType Latent State Type
     * 
     * @return The Overnight Curve Horizon Metrics
     */

    public static final java.util.Map<org.drip.analytics.date.JulianDate,
        org.drip.historical.state.FundingCurveMetrics> HorizonMetrics (
            final org.drip.analytics.date.JulianDate[] adtSpot,
            final java.lang.String[] astrOvernightCurveOISTenor,
            final double[][] aadblOvernightCurveOISQuote,
            final java.lang.String[] astrInTenor,
            final java.lang.String[] astrForTenor,
            final java.lang.String strCurrency,
            final int iLatentStateType)
    {
        if (null == adtSpot || null == astrOvernightCurveOISTenor || null == aadblOvernightCurveOISQuote ||
            null == astrInTenor || null == astrForTenor)
            return null;

        int iNumClose = adtSpot.length;
        int iNumInTenor = astrInTenor.length;
        int iNumForTenor = astrForTenor.length;
        double[] adblForTenorDCF = new double[iNumForTenor];
        int iNumCalibrationInstrument = astrOvernightCurveOISTenor.length;

        if (0 == iNumClose || 0 == iNumCalibrationInstrument || 0 == iNumInTenor || 0 == iNumForTenor)
            return null;

        for (int i = 0; i < iNumForTenor; ++i) {
            try {
                adblForTenorDCF[i] = org.drip.analytics.support.Helper.TenorToYearFraction (astrForTenor[i]);
            } catch (java.lang.Exception e) {
                e.printStackTrace();

                return null;
            }
        }

        java.util.Map<org.drip.analytics.date.JulianDate, org.drip.historical.state.FundingCurveMetrics>
            mapFCM = new java.util.TreeMap<org.drip.analytics.date.JulianDate,
                org.drip.historical.state.FundingCurveMetrics>();

        for (int i = 0; i < iNumClose; ++i) {
            org.drip.historical.state.FundingCurveMetrics fcm = null;
            int iNumOISQuote = null == aadblOvernightCurveOISQuote[i] ? 0 :
                aadblOvernightCurveOISQuote[i].length;

            if (0 == iNumOISQuote || iNumOISQuote != iNumCalibrationInstrument) continue;

            org.drip.state.discount.MergedDiscountForwardCurve dcOvernight =
                org.drip.service.template.LatentMarketStateBuilder.OvernightCurve (adtSpot[i], strCurrency,
                    null, null, "Rate", astrOvernightCurveOISTenor, aadblOvernightCurveOISQuote[i],
                        "SwapRate", null, null, null, "SwapRate", null, null, "SwapRate", iLatentStateType);

            if (null == dcOvernight) continue;

            try {
                fcm = new org.drip.historical.state.FundingCurveMetrics (adtSpot[i]);

                for (java.lang.String strInTenor : astrInTenor) {
                    org.drip.analytics.date.JulianDate dtIn = adtSpot[i].addTenor (strInTenor);

                    for (int j = 0; j < iNumForTenor; ++j) {
                        if (!fcm.addNativeForwardRate (strInTenor, astrForTenor[j], java.lang.Math.pow
                            (dcOvernight.df (dtIn) / dcOvernight.df (dtIn.addTenor (astrForTenor[j])), 1. /
                                adblForTenorDCF[j]) - 1.))
                            continue;
                    }
                }
            } catch (java.lang.Exception e) {
                e.printStackTrace();

                continue;
            }

            mapFCM.put (adtSpot[i], fcm);
        }

        return mapFCM;
    }
}